How to fix OneDrive file system issue on Windows 10

If you're unable to set up OneDrive in a different location, it's likely that the drive is using an unsupported file system, and here are the steps to get around this problem.
On Windows 10, the OneDrive desktop client recently received an update that suddenly drops support for older file systems, including FAT32 and exFAT, and even the newer ReFS (Resilient File System). As a result, if you now try to use a storage using an unsupported file system, you'll end up getting a "Your OneDrive folder can't be created in the location you selected" or "Drive must be formatted with the NTFS system to work with OneDrive" message.
According to Microsoft, the sync client was never actually designed to support other files systems other than NTFS. Instead, it was a "bug" that permitted users to set up OneDrive on drives formatted with another file system, and now the company simply fixed the issue.
If you want to use OneDrive on an SD card, USB flash drive, or external hard drive, but it's using an unsupported file system, there are different ways to convert to NTFS, even without having to move the files around. (Though, it's always recommended to keep an up to date backup of your files before making system changes.)